Are your contacts linked with the FB contact?
Check which FB app you are using. There is the default one that came with the phone, and another downloadable one for Android. I have both as each one has different functions. Also the default FB app wasn't listing some of my contacts. I think the downloadable one won't work for the pictures.
I had to play around with the settings for a while as I wasn't getting the pictures before either with text or calls. But they are working now.
Here's what I remember doing.
Select one of your contacts, select menu, mark as default, then select the FB radial button (they are listed in the same order as the linked contacts list). Select save.
See if their picture changes in the text messaging app.
I didn't want FB as the default so I changed it back to phone. But the contacts picture remains.
It's a PITA if you have a lot of contacts. Let us know if this works for you.